Safety first portfolio choice based on financial and sustainability returns

Gregor Dorfleitner and Sebastian Utz

European Journal of Operational Research, 2012, vol. 221, issue 1, 155-164

Abstract: The aim of this paper is to expand the methodological spectrum of socially responsible investing by introducing stochastic sustainability returns into safety first models for portfolio choice. We provide a foundation of the notion of sustainability in portfolio theory and establish a general model for generalized safety first portfolio management with probabilistic constraints and three specifications of it. Moreover, we prove theorems about conditions for unique optimal solutions and for the constraints of one model being more restrictive than those of another. In an empirical part, we calculate the costs of investing according to our approach in terms of less financial return.

Keywords: Finance; Socially responsible investing; Sustainability value; Safety first investor (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (30)

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Working Paper: Safety first portfolio choice based on financial and sustainability returns (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:221:y:2012:i:1:p:155-164

DOI: 10.1016/j.ejor.2012.02.034

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